According to one report, Jeter was "beside himself angry" after the interview, but not necessarily for the reason most would assume.

Jeter, who is famously quiet about his private life and known for rarely divulging much during interviews, was indeed angry after the interview, according to Dan Le Batard of ESPN. However, according to Le Batard, the thing that angered Jeter the most was having to do the interview with A-Rod in the first place.

"I actually learned, factually, that Jeter was beside himself angry at that interview he had to do with Alex Rodriguez, first and foremost, because nobody told him he'd have to be sitting there next to Alex Rodriguez," Le Batard said on his radio show.

It is unclear where the miscommunication originated, whether it was between CNBC and Jeter or between Jeter and his team of handlers.

Jeter and Rodriguez were once famously very close early in their careers. A-Rod would later say they were "best friends" early in his career when he was still playing for the Seattle Mariners. But at some point that relationship soured.

"We were best of friends about 10, 13 or 14 years ago, and we still get along well," Rodriguez told the media in 2007. "We have a good working relationship. I cheer very hard for him, and he cheers hard for me, and, more importantly, we're both trying to win a world championship. We'll leave it right there."

But even that might not do their strained relationship justice.

The problems reportedly began as a result of a 2001 interview Rodriguez did with Esquire magazine in which he said "Jeter's been blessed with great talent around him" and "he's never had to lead." A-Rod later added, "You go into New York, you wanna stop Bernie [Williams] and [Paul] O'Neill. You never say, 'Don't let Derek beat you.' He's never your concern."

The pair had seemingly buried the hatchet somewhat during their last few years together with the Yankees. But this latest report makes it seem like things are still rocky, at best.

CNBC didn't immediately respond to a request for comment from Business Insider.